Introduction to option pricing theory

(I) Derivative securities: Forwards, futures, swaps for commodities and interest rates, hedges, models of asset dynamics (binomial lattice model, additive model, multiplicative model, random walks, Wiener process, geometric Brownian motion, Ito's formula), basic options theory (European and American options, calls and puts, put-call parity, valuation in binomial lattice model, replicating portfolio, real options), additional options topics (Black-Scholes equation, call option formula, risk-neutral valuation, the greeks, storage costs and dividends, martingale pricing, exotic options), computational methods (Monte Carlo simulation, finite-difference methods, binomial and trinomial lattices), interest rate derivatives, Ho-Lee model, collateralized mortgage obligations, models of interest rate dynamics (II) General cash flow streams Optimal portfolio growth, log utility approach, continuous-time growth, general investment evaluation, optimal pricing, investments with private uncertainty

Oral examination

Bitte in Sekretariat der Vortragenden bei Frau Sandra Trenovatz melden Chapter 10 to 16 in the textbook by David G. Luenberger, Investment Science, Oxford University Press (1998), ISBN 0-19-510809-4